The Sharpe ratio helps contextualize financial returns by comparing the expected return to the perceived risk. After finding potential investments with attractive risk / reward characteristics, it's important to decouple the parts of a return that are attributable to skill versus market conditions. While past performance is a reasonable predictor of future success, investors need to understand whether returns are repeatable or just a result of being in the right place at the right time.
Alpha measures the "secret sauce" that accounts for performing better (or worse) than the market, while beta measures volatility relative to market. Positive alpha indicates an investment with a return that's higher than expected, given the level of risk. While it's not always this easy to quantify risk, the thought process used to deconstruct risk to allow for like-to-like comparisons is applicable to most decision making.